In this research apply of the Ant Colony Optimization to the design and construction invests the decision. Make use of the Ant Algorithm, The visibility index sign and pheromone updating for ACO system to promote solution quality of shortest path of Traveling Sales Problem. So use the visibility index sign and pheromone by this the application. In this research takes the Taiwan Stock Exchange Corporation ”Securities Trading 2004 year”, The trade volume, and rate of returns of returns from February 2002 to the end of December 2004 are the inputs for our system. In addition to three stocks, our research has the banks as the fourth option in the selection of the investment.